Step 1: Open the section you'd want to export the messages from E.g The SMS Received section.
Step 2: Check the messages to export by checking the box next to each (1). In case you'd want to select all of them, check the box at the top menu bar (2).
Note: For windows users, ensure that the final names of the files downloaded always end with either .csv for csv exports or .vcf for vcard exports. This is because windows imposes a character limit on the names of files. The number of characters is calculated to include the entire path name of the file on the computer. Another remedy to this is to ensure you do not store the export files in deep nested folders to ensure the resultant full path for the files does not exceed the limit. For reference the typical length an export file from Frontline is 66 characters.